Conventional and Islamic stock markets: what about financial performance?

Aymen Ben Rejeb () and Arfaoui Mongi ()

MPRA Paper from University Library of Munich, Germany

Abstract: The study aims to analyze the performance of both Islamic and conventional stock markets, particularly at normal time and during the Subprime crisis period. The performance has been assessed by reference to one of the most important financial concepts, extremely useful in investment selections, namely: the informational efficiency. For this purpose, we use a relevant methodology based on the time varying parameters model combined with a GARCH specification, Granger non-causal test and structural break points technique. Empirical results show that the weak efficiency hypothesis is relatively verified in both the Islamic and the conventional market systems, but it varies from one market to another depending on the specific characteristics of each one. Moreover, we conclude that Islamic markets are not fully immunized against effects of financial crises and strong financial fragilities. The results of the Granger non-causality test suggest that the Islamic stock markets have succeeded to relatively escape important part of the last Subprime crisis risky effects. This evidence may support investment in this brand of markets and therefore allows the strengthening of economic growth.

Keywords: Informational efficiency; financial fragility; financial interdependence; Subprime crisis; Islamic stock markets; conventional stock markets (search for similar items in EconPapers)
JEL-codes: G0 G01 G1 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/73495/1/MPRA_paper_73495.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:73495

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().